You can create a GPO with the setting "User Configuration\Administrative Templates\Desktop\Desktop\Desktop Wallpaper" with whatever wallpaper you want to define you just have to make sure the file you reference for the wallpaper is available to the user once they login.

One implementation solution would be to create a GPO and link it into the AD at a level where the users you want to be affected all live within then assign the GPO's security filtering to the group "Domain Users" (the default is authenticated users which will also work). You may also set the GPO Status to disable all computer settings.

Not sure why this was down voted but if you are just editing a local policy file with this setting (gpedit.msc), you will still have to distribute that policy to all machines and delete all the existing user profiles in order to get this to apply since it is a user based policy setting. Using a GPO is much easier, faster and better management in the long run.
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BoxerBucksJun 2 '10 at 17:07

-1; the OP has already explicitly tried that and it didn't work. We're either figuring what went wrong or suggesting alternative solutions now.
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Darth MelkorJun 2 '10 at 21:17

@mh - With all due respect, the OP tried gpedit.msc. This is not editing a GPO, this is editing the local policy. Plus the active desktop setting they tried is not the same as the setting I suggested. Unless there are serious issues processing policies, this will work and will be an easier solution to maintain long term.
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BoxerBucksJun 3 '10 at 1:09